Office of the Comptroller of the Currency
Xiaofei Zhang is a Financial Economist in the Market Risk Analysis Division within the Economics department of the Office of the Comptroller of the Currency (OCC). Dr. Zhang's current research interest includes credit risk modeling, liquidity risk, and asset pricing. Prior to joining OCC. Dr. Zhang worked at Citi group. She holds a doctoral degree in physics.
The authors conduct a comprehensive study of some parametric models that are designed to fit the unusual bounded and bimodal distribution of loss given default (LGD).